Multi Asset Class Investment Strategy was published in July 2006 as part of the prestigious Wiley Finance Series (other series authors include the legendary Harry Markowitz) to what Global Pensions called "rave reviews from within the UK pension industry" and went into the Amazon "Hot 100" within six weeks.
Building on the work of David Swensen with the Yale Model, Guy Fraser-Sampson shows how a Multi Asset Class approach could and should be adopted by investors worldwide. In particular, he demonstrates that the traditional asset allocation methods of European pension funds are profoundly mistaken and have actually caused the curent funding deficit crisis.
It sets out the Total Funding Model, invented by the author, to show how pension funds should be assessing their levels of future liabilities and thus calculate their target rate of return. It then looks at the various asset classes which may be used (including private equity, hedge funds and property) and measures their correlation with one another.
The conclusion is that, just as in the Yale Model, it is these so-called "alternative" investments which should actually form the majority of a portfolio with some supposedly mainstream investments, notably bonds, struggling to justify their inclusion at all.
Central to the book is a discussion of traditional risk modelling. Fraser-Sampson shows that this was probably always mistaken and is in any event totally unsuitable for the new world of Multi Asset Class investing. He proposes a practical alternative, based on statistical analysis of long term compound returns. This has the advantages of being able to compare the returns of different asset classes validly and directly against each other (something which is not possible under the traditional methodology) and of addressing the real life concerns of real life investors. In particular, it recognises that the risk of any investment may differ according to the particular circumstances of any individual investor.
Originally seen as controversial, Fraser-Sampson's views are increasingly being adopted by leading pension consultants and their clients.
One reviewer said that the book "stakes Fraser-Sampson's claim to be recognised as one of the great thinkers on portfolio theory, ranking alongside Markowitz and Swensen." Another said simply "there are certain books you read during your lifetime that change the way you think: this is one of them."
"I expected another version of Swensen's Pioneering Portfolio Management. However, in my eyes Multi Asset Class Investment Strategy is a huge improvement and a surprisingly entertaining and satisfying read. Guy Fraser-Sampson is a brilliant writer, with a real talent for describing a complex subject. His book is down to earth, light-hearted and full of analogies which make the subject easy to grasp and interesting." - Thomas Meyer, European Investment Fund and author of Beyond the J-Curve.
"Fraser-Sampson builds on Swensen's theories and shows how they can and should be adopted by European pension funds" Hedge Fund Journal
"Guy Fraser-Sampson with his first book has made a huge contribution to the practice of portfolio theory." - Craig L. Howe "the Pointed Pundit"
"Pension fund trustees right around the world should read this book ...it is certain to stir up some much-needed debate ...has received rave reviews from within the UK pension industry." - Global Pensions
"Time and money well spent ... the tectonic plates are shifting under the UK investment establishment." - The Daily Telegraph
"An indispensable roadmap for anyone looking to create a successful investment programme." - The Securities Investment Review
"Has become the new buzz-phrase in the pension community" Global Pensions
"It's some time since I read anything so clear and punchy ... if you are involved in setting investment strategy for a pension fund, this book cannot help but clarify your thoughts." - Benefits and Compensation International
"Could represent the difference between sink and swim in investment strategy meetings ... refreshing and accessible ... an engaging read." - Pensions Management
"Every pension trustee should read this book" - Amanda Walker, London Pension Fund Authority
"In a grey world, Fraser-Sampson's words jump off the page" - Remy Kawkabani, CSFB
"A refreshingly pragmatic view of investment strategy" - Zohra Nazar, Aberdeen Asset Management
"A defining work on alternative investments" - Shamsa Rana, Tribune Capital